A cointegration analysis of treasury bill yields
A cointegration analysis of treasury bill yields
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DOI：
10.1017/cbo9780511753978.012
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发表时间：
1992-02
期刊：
影响因子：
--
通讯作者：
A. Hall;H. Anderson;C. Granger
中科院分区：
文献类型：
--
作者：
A. Hall;H. Anderson;C. Granger
本文研究表明，美国国债的到期收益率是协整的，在联邦明确设定短期利率目标的时期，不同到期收益率之间的利差定义了协整向量。这种协整关系意味着一个单一的非平稳的共同因素下的时间序列行为的每个到期收益率和风险溢价是平稳的。一个误差修正模型，它使用利差作为误差修正条款是不稳定的联邦的政策制度的变化，但模型使用后1982年的数据是稳定的，并被证明是有用的预测收益率的变化。
This paper shows that yields to maturity of U.S. Treasury bills are cointegrated, and that during periods when the Federal Reserve specifically targeted short-term interest rates, the spreads between yields of different maturity define the cointegrating vectors. This cointegrating relationship implies that a single non-stationary common factor underlies the time series behavior of each yield to maturity and that risk premia are stationary. An error correction model which uses spreads as the error correction terms is unstable over the Federal Reserve's policy regime changes, but a model using post 1982 data is stable and is shown to be useful for forecasting changes in yields.